Eduardo Rossi : Citation Profile


Are you Eduardo Rossi?

Università degli Studi di Pavia

9

H index

8

i10 index

217

Citations

RESEARCH PRODUCTION:

18

Articles

22

Papers

RESEARCH ACTIVITY:

   25 years (1995 - 2020). See details.
   Cites by year: 8
   Journals where Eduardo Rossi has often published
   Relations with other researchers
   Recent citing documents: 16.    Total self citations: 11 (4.82 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pro257
   Updated: 2024-01-16    RAS profile: 2023-03-16    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Eduardo Rossi.

Is cited by:

GUPTA, RANGAN (21)

Santucci de Magistris, Paolo (13)

Gkillas (Gillas), Konstantinos (7)

Caporin, Massimiliano (7)

Su, Liangjun (7)

Wohar, Mark (6)

Ruiz, Esther (6)

Nielsen, Morten (5)

Lau, Chi Keung (5)

Zhang, Yaojie (4)

Grassi, Stefano (4)

Cites to:

Bollerslev, Tim (42)

Diebold, Francis (36)

Andersen, Torben (31)

Pesaran, Mohammad (27)

Engle, Robert (22)

Tauchen, George (21)

Bai, Jushan (19)

Corsi, Fulvio (16)

Bauwens, Luc (16)

Nielsen, Morten (14)

Gallant, A. (11)

Main data


Where Eduardo Rossi has published?


Journals with more than one article published# docs
Computational Statistics & Data Analysis2
Journal of Econometrics2
The Journal of Financial Econometrics2
Journal of Applied Econometrics2
Econometric Reviews2

Working Papers Series with more than one paper published# docs
DEM Working Papers Series / University of Pavia, Department of Economics and Management7
MPRA Paper / University Library of Munich, Germany3
"Marco Fanno" Working Papers / Dipartimento di Scienze Economiche "Marco Fanno"2

Recent works citing Eduardo Rossi (2024 and 2023)


YearTitle of citing document
2023Specification testing with grouped fixed effects. (2023). Valentini, Francesco ; Pionati, Alessandro ; Pigini, Claudia. In: Papers. RePEc:arx:papers:2310.01950.

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2023Complete Theory for CCE Under Heterogeneous Slopes and General Unknown Factors. (2023). Stauskas, Ovidijus. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:85:y:2023:i:2:p:283-303.

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2023Semiparametric portfolios: Improving portfolio performance by exploiting non-linearities in firm characteristics. (2023). Torrent, Hudson S ; Caldeira, Joo F. In: Economic Modelling. RePEc:eee:ecmode:v:122:y:2023:i:c:s0264999323000512.

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2023Stablecoins as a tool to mitigate the downside risk of cryptocurrency portfolios. (2023). Huelamo, Diego ; Esparcia, Carlos ; Diaz, Antonio. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822001735.

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2023Profile GMM estimation of panel data models with interactive fixed effects. (2023). Su, Liangjun ; Jiang, Tao ; Hong, Shengjie. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:927-948.

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2023Measuring minimum variance hedging effectiveness: Traditional vs. sophisticated models. (2023). Karmakar, Madhusudan ; Sharma, Udayan. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001370.

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2023Risk transmission from the energy markets to the carbon market: Evidence from the recursive window approach. (2023). Brooks, Robert ; Hasanov, Akram Shavkatovich ; Vellachami, Sanggetha. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002314.

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2023The impact of the COVID-19 pandemic and Russia-Ukraine war on multiscale spillovers in green finance markets: Evidence from lower and higher order moments. (2023). Hamori, Shigeyuki ; He, Xie ; Zhang, Wenting. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s105752192300251x.

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2023Corporate bond liquidity and yield spreads: A review. (2023). Namin, Elmira Shekari ; Goldstein, Michael A. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s027553192300051x.

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2023An analysis of the time-varying causality and dynamic correlation between green bonds and US gas prices. (2023). Abakah, Emmanuel ; Oteng-Abayie, Eric Fosu ; Adekoya, Oluwasegun B ; Tiwari, Aviral Kumar ; Aikins, Emmanuel Joel. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:186:y:2023:i:pa:s0040162522006552.

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2023Testing for correlation between the regressors and factor loadings in heterogeneous panels with interactive effects. (2023). Kapetanios, George ; Shin, Yongcheol ; Serlenga, Laura. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:6:d:10.1007_s00181-023-02390-1.

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2023CO2 Emissions and GDP: A Revisited Kuznets Curve Version via a Panel Threshold MIDAS-VAR Model in Europe for a Recent Period. (2023). Zhelyazkova, Virginia ; Goldman, Sarah. In: Economic Research Guardian. RePEc:wei:journl:v:13:y:2023:i:2:p:82-99.

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2023Forecasting Chinas stock market volatility with shrinkage method: Can Adaptive Lasso select stronger predictors from numerous predictors?. (2023). Xu, Yongan ; Liang, Chao ; Chen, Zhonglu. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:4:p:3689-3699.

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Works by Eduardo Rossi:


YearTitleTypeCited
2009Long Memory and Tail dependence in Trading Volume and Volatility In: CREATES Research Papers.
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paper29
2013Long memory and tail dependence in trading volume and volatility.(2013) In: Journal of Empirical Finance.
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This paper has nother version. Agregated cites: 29
article
2009A No Arbitrage Fractional Cointegration Analysis Of The Range Based Volatility In: CREATES Research Papers.
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paper3
2011Estimation of long memory in integrated variance In: CREATES Research Papers.
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paper9
2012Estimation of long memory in integrated variance.(2012) In: DEM Working Papers Series.
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This paper has nother version. Agregated cites: 9
paper
2014Estimation of Long Memory in Integrated Variance.(2014) In: Econometric Reviews.
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This paper has nother version. Agregated cites: 9
article
2014Volatility jumps and their economic determinants In: CREATES Research Papers.
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paper31
2016Volatility Jumps and Their Economic Determinants.(2016) In: The Journal of Financial Econometrics.
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This paper has nother version. Agregated cites: 31
article
2014Chasing volatility - A persistent multiplicative error model with jumps In: CREATES Research Papers.
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paper8
2014Chasing Volatility. A Persistent Multiplicative Error Model With Jumps.(2014) In: Marco Fanno Working Papers.
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This paper has nother version. Agregated cites: 8
paper
2014Indirect inference with time series observed with error In: CREATES Research Papers.
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paper2
2018Indirect inference with time series observed with error.(2018) In: Journal of Applied Econometrics.
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This paper has nother version. Agregated cites: 2
article
2019Does macroeconomics help in predicting stock markets volatility comovements? A nonlinear approach In: Working Papers.
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paper2
2018Structural analysis with mixed-frequency data: A MIDAS-SVAR model of US capital flows In: Papers.
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paper4
2016Structural analysis with mixed frequencies: monetary policy, uncertainty and gross capital flows.(2016) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4
paper
2005Artificial regression testing in the GARCH-in-mean model In: Econometrics Journal.
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article1
2010Efficient importance sampling maximum likelihood estimation of stochastic differential equations In: Computational Statistics & Data Analysis.
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article5
2010Model and distribution uncertainty in multivariate GARCH estimation: A Monte Carlo analysis In: Computational Statistics & Data Analysis.
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article11
2008Model and distribution uncertainty in multivariate GARCH estimation: a Monte Carlo analysis.(2008) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 11
paper
2020Structural analysis with mixed-frequency data: A model of US capital flows In: Economic Modelling.
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article1
2015Testing for no factor structures: On the use of Hausman-type statistics In: Economics Letters.
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article5
2015Inference on factor structures in heterogeneous panels In: Journal of Econometrics.
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article10
2012Inference on Factor Structures in Heterogeneous Panels.(2012) In: DEM Working Papers Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 10
paper
2014Inference on Factor Structures in Heterogeneous Panels.(2014) In: DEM Working Papers Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 10
paper
2017Chasing volatility In: Journal of Econometrics.
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article2
2019A two-stage estimator for heterogeneous panel models with common factors In: Econometrics and Statistics.
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article5
2014A Two-Stage Estimator for Heterogeneous Panel Models with Common Factors.(2014) In: DEM Working Papers Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5
paper
1995A multivariate GARCH model for exchange rates volatility. In: LIUC Papers in Economics.
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paper0
2015Long Memory and Periodicity in Intraday Volatility In: The Journal of Financial Econometrics.
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article29
2012Long memory and Periodicity in Intraday Volatility.(2012) In: DEM Working Papers Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 29
paper
2011Conditional jumps in volatility and their economic determinants In: Marco Fanno Working Papers.
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paper5
2012Independent Factor Autoregressive Conditional Density Model In: DEM Working Papers Series.
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paper19
2015Independent Factor Autoregressive Conditional Density Model.(2015) In: Econometric Reviews.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 19
article
2014Testing for no factor structures: on the use of average-type and Hausman-type statistics In: DEM Working Papers Series.
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paper0
2008Euro corporate bonds risk factors In: MPRA Paper.
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paper14
2013EURO CORPORATE BOND RISK FACTORS.(2013) In: Journal of Applied Econometrics.
[Citation analysis]
This paper has nother version. Agregated cites: 14
article
2008Estimation methods in panel data models with observed and unobserved components: a Monte Carlo study In: MPRA Paper.
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paper0
2010Univariate GARCH models: a survey (in Russian) In: Quantile.
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article2
2002Hedging interest rate risk with multivariate GARCH In: Applied Financial Economics.
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article6
2013A No?Arbitrage Fractional Cointegration Model for Futures and Spot Daily Ranges In: Journal of Futures Markets.
[Citation analysis]
article14

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